Over on NPR, Ezra Block and Robert Krulwich explain that the answer boils down to airborne dust — more specifically the size of that dust, and the wavelengths of light those dust particles let through.

Martian dust is smaller and more plentiful than the particles you find floating around here on Earth, and it happens to be just the right size that it absorbs blue wavelengths while scattering red ones across the sky. These red wavelengths are what give much of the Martian firmament that pinkish hue. Look directly toward the setting sun, however, and you'll see blue. That's because the beams of light coming from this direction have lost their red waves entirely (they've been filtered out, and scattered by the dust, remember?), so the only wavelengths of light that make it through are those that give the light its blue appearance.